This link may be a more concise introduction to what you're dealing with here... It's served members well on other forums. I promise it's an easy and enjoyable read that will raise more specific questions or simply give you the answers you need:
*Turbocharged Motors* - Understanding the Components, Processes and Modifications
If you're looking for a quick suggestion; Tuning. As described in my linked post, Tuning is the absolute essential for running your vehicle safely and taking the most advantage of any parts you add. You may also be curious to see my own modification path, titled 'Boost Addicts 08 WRX Build', which is also in this same section just a few posts away. If you want to be able to keep pace with new M3s, 335is and Corvettes, a turbo upgrade should be planned. If you just want to max out the current snail effectively, perhaps a Stage 2 setup is right for you. People will generally run into issues when they begin to arbitrarily bolt on intakes, downpipes, etc, and not adjust for them with proper tuning.
If you have any other questions, feel free to ask, or PM. After all, that's what a forum is for.